Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | 0.1123 |
| Annualized Std Dev | 0.2262 |
| Annualized Sharpe (Rf=0%) | 0.4963 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 4028.0000 |
| NAs | 1.0000 |
| Minimum | -0.1393 |
| Quartile 1 | -0.0056 |
| Median | 0.0011 |
| Arithmetic Mean | 0.0005 |
| Geometric Mean | 0.0004 |
| Quartile 3 | 0.0075 |
| Maximum | 0.1418 |
| SE Mean | 0.0002 |
| LCL Mean (0.95) | 0.0001 |
| UCL Mean (0.95) | 0.0010 |
| Variance | 0.0002 |
| Stdev | 0.0143 |
| Skewness | -0.3386 |
| Kurtosis | 11.5130 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0105 |
| Gain Deviation | 0.0098 |
| Loss Deviation | 0.0116 |
| Downside Deviation (MAR=210%) | 0.0148 |
| Downside Deviation (Rf=0%) | 0.0102 |
| Downside Deviation (0%) | 0.0102 |
| Maximum Drawdown | 0.5537 |
| Historical VaR (95%) | -0.0211 |
| Historical ES (95%) | -0.0349 |
| Modified VaR (95%) | -0.0209 |
| Modified ES (95%) | -0.0356 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2007-12-11 | 2008-11-20 | 2013-02-06 | -0.5537 | 1298 | 240 | 1058 |
| 2020-02-20 | 2020-03-23 | 2020-08-04 | -0.3701 | 116 | 23 | 93 |
| 2015-08-03 | 2016-02-09 | 2017-02-09 | -0.2613 | 378 | 132 | 246 |
| 2018-09-17 | 2018-12-24 | 2019-02-27 | -0.2519 | 112 | 69 | 43 |
| 2006-05-09 | 2006-07-21 | 2006-12-04 | -0.1561 | 146 | 52 | 94 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2005 | NA | NA | -0.1 | 0.5 | 0.3 | -0.5 | 0.3 | -0.1 | 1.2 | -0.1 | 2.1 | -0.4 | 3.4 |
| 2006 | 0.4 | 1.3 | -0.1 | 0.3 | 1.7 | 0.8 | -2 | 0.7 | -0.5 | -2.4 | -0.5 | -0.8 | -1.1 |
| 2007 | 1 | -0.3 | -0.3 | -0.4 | 0.3 | -0.2 | 1 | 1.3 | 1.5 | -1.9 | 0.1 | -1.1 | 0.9 |
| 2008 | 2.7 | -3.2 | 3.5 | 1.6 | 0.6 | 0.6 | 0.1 | -1.4 | -2.1 | -1.9 | -9.1 | 2.1 | -6.9 |
| 2009 | -2.3 | -0.7 | -0.1 | -0.1 | 3.1 | 0.3 | -0.5 | -1.4 | -2.7 | -2.4 | 1.8 | -0.9 | -5.9 |
| 2010 | 1.1 | 1.7 | 0.4 | -2 | -3.3 | -0.3 | 0.3 | 3.6 | -0.1 | -0.2 | 2.3 | -1 | 2.3 |
| 2011 | 1.9 | -1.3 | 1 | 0.5 | -1.9 | 1.5 | -1 | -1.4 | -2.9 | -3.5 | 0.2 | -0.1 | -7.1 |
| 2012 | 1.1 | 0.8 | 0.3 | 1 | -3.2 | 4 | -0.3 | 0.7 | -0.1 | 2.1 | 0 | 1.4 | 7.9 |
| 2013 | 0.6 | -0.3 | -0.9 | -1.1 | -1.1 | 0.2 | 0.9 | -0.5 | 1.1 | 0.7 | 0.4 | 0.1 | 0 |
| 2014 | -0.2 | -0.3 | 1.1 | 0 | 0.2 | 0.8 | -0.6 | 0.3 | -1.9 | 1.4 | -1.1 | 0.1 | -0.1 |
| 2015 | -0.7 | -0.1 | -1.1 | 0.8 | 0.3 | 0.4 | 1 | -2.8 | -0.1 | 0.5 | 0.6 | 0 | -1.3 |
| 2016 | 1.1 | 2 | 0.6 | -0.3 | 0.3 | 0.4 | 0.3 | -0.2 | 0.1 | -0.7 | -2 | -0.8 | 0.8 |
| 2017 | -0.1 | 1.1 | 0.5 | 0.1 | 1.3 | 0.2 | 0.3 | 0.6 | 0.5 | -0.6 | -1.1 | -0.4 | 2.3 |
| 2018 | 0.1 | -1.4 | 2 | 0.7 | 1.4 | 0.4 | 1.2 | 0.6 | -1 | 2.5 | 0.8 | 0.8 | 8.3 |
| 2019 | 1 | 0.5 | 1.1 | -1 | -0.9 | 0.3 | -0.8 | 0 | -1.4 | 0.2 | -1 | 0 | -2 |
| 2020 | -1.5 | -2.4 | -5.6 | -2.8 | 0.5 | 0.3 | -0.2 | 0.7 | 1.6 | -1.5 | 0.5 | 0.2 | -9.9 |
| 2021 | 2.2 | 3 | 0.8 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 6 |
Row
Price Chart
# tidytable [6 × 21]
datadate Close tic.x spy ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y gld ret.y ret_1W.y
<date> <dbl> <chr> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <chr> <dbl> <dbl> <dbl>
1 2005-03-03 15.0 SPY 121. 0.0004 0.0082 0.0194 0.0167 0.0478 0.0473 -0.0908 GLD 43.0 -0.0065 -0.0083
2 2005-03-04 15.3 SPY 123. 0.0125 0.0107 0.029 0.0285 0.0581 0.0637 -0.0984 GLD 43.4 0.0095 -0.0028
3 2005-03-07 15.3 SPY 123. 0.0005 0.0179 0.0322 0.0297 0.0551 0.0517 -0.107 GLD 43.5 0.0021 -0.0011
4 2005-03-08 15.2 SPY 122. -0.0037 0.0091 0.0175 0.0262 0.0641 0.05 -0.116 GLD 44.0 0.0129 0.0187
5 2005-03-09 15.0 SPY 121. -0.0111 -0.0017 0.0075 0.0243 0.0565 0.034 -0.127 GLD 44.0 -0.0002 0.0178
6 2005-03-10 14.9 SPY 121. 0.0022 0.0002 0.0086 0.0206 0.0769 0.0341 -0.141 GLD 44.2 0.0041 0.0286
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>Row
Rolling Performance Chart
Row
Snail Trail Chart
